Gaining abnormal returns using insider transaction data: An Event study approach on Swedish data

Abstract: This study tests if abnormal return can be gained by mimicking insider transactions. Using an event study and looking at Swedish data from 2005 to 2009 we find that economically significant returns can be gained by outside actors trading on insider transaction information. The thesis finds that the size of abnormal returns differ greatly depending on type of insider, number of insider positions held, as well as transaction type, with sell transactions having a far greater predictive effect for abnormal returns. Moreover, it is concluded that the main abnormal returns insiders gain come from analysis rather than usage of short term tradable insider information. Our results are in line with weak-form efficiency.